Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 5 | 5 | 4 |
| Score | -1.67 | -1.04 | -2.18 |
| Market Cap (Millions USD) | 1629.2 | 1596.99 | 1676.05 |
| Predicted Beta | 1.5 | 1.49 | 1.46 |
| Idiosyncratic Volatility | 2.03 | 2.03 | 2.17 |
Annualized return and volatility
| IYF | |
|---|---|
| Annualized Return | 0.0400 |
| Annualized Std Dev | 0.2649 |
| Annualized Sharpe (Rf=0%) | 0.1509 |
Row
Daily Return Statistics
| IYF | |
|---|---|
| Observations | 5010.0000 |
| NAs | 104.0000 |
| Minimum | -0.2134 |
| Quartile 1 | -0.0057 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0067 |
| Maximum | 0.1566 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0167 |
| Skewness | -0.1765 |
| Kurtosis | 18.7915 |
Downside Risk
| IYF | |
|---|---|
| Semi Deviation | 0.0119 |
| Gain Deviation | 0.0131 |
| Loss Deviation | 0.0137 |
| Downside Deviation (MAR=210%) | 0.0162 |
| Downside Deviation (Rf=0%) | 0.0118 |
| Downside Deviation (0%) | 0.0118 |
| Maximum Drawdown | 0.7909 |
| Historical VaR (95%) | -0.0230 |
| Historical ES (95%) | -0.0399 |
| Modified VaR (95%) | -0.0216 |
| Modified ES (95%) | -0.0216 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-06 | 2016-12-07 | -0.7909 | 2439 | 454 | 1985 |
| 2000-05-30 | 2002-10-09 | 2003-11-03 | -0.3353 | 879 | 603 | 276 |
| 2018-09-21 | 2018-12-24 | 2019-04-26 | -0.1989 | 151 | 66 | 85 |
| 2004-03-08 | 2004-05-10 | 2004-11-11 | -0.1123 | 176 | 46 | 130 |
| 2018-01-29 | 2018-02-08 | 2018-09-20 | -0.0940 | 167 | 9 | 158 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IYF | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | 2.4 | 0.0 | 0.8 | -1.1 | 0.0 | -1.1 | -0.5 | 0 | 0.5 |
| 2001 | 0.2 | 0.4 | 0.0 | 0.5 | -0.5 | 0.0 | 0.4 | 0.0 | -0.1 | 1.2 | 0.0 | 0 | 2.2 |
| 2002 | -0.8 | 1.0 | -0.4 | 0.5 | 0.0 | -1.7 | -2.1 | 0.0 | 4.1 | 1.1 | 0.0 | 0 | 1.5 |
| 2003 | 0.0 | 0.0 | 2.1 | 0.0 | 0.0 | 1.2 | -1.9 | 0.0 | 2.2 | 0.0 | 1.0 | 0 | 4.7 |
| 2004 | 0.0 | 0.9 | 1.0 | 0.0 | -0.4 | -0.6 | 0.0 | -0.5 | 1.3 | 0.1 | 1.9 | 0 | 3.7 |
| 2005 | 1.0 | 1.3 | -0.9 | 0.0 | 0.7 | 0.4 | -0.2 | 0.4 | 0.0 | -0.7 | 0.8 | 0 | 2.9 |
| 2006 | 0.3 | 0.6 | 0.0 | -1.4 | 1.4 | 0.0 | -0.1 | 0.2 | 0.0 | -0.8 | -0.5 | 0 | -0.4 |
| 2007 | 0.5 | -0.3 | 0.0 | 0.0 | 0.3 | 0.0 | 0.3 | 0.0 | 2.1 | -4.1 | 0.0 | 0 | -1.3 |
| 2008 | 2.1 | 0.0 | 7.0 | 3.9 | 0.0 | 1.0 | 0.7 | 0.0 | 1.1 | 0.0 | -15.7 | 0 | -1.6 |
| 2009 | 0.0 | 0.0 | 2.4 | -1.3 | 1.2 | -0.4 | 0.0 | -4.7 | -3.9 | 0.0 | 0.3 | 0 | -6.4 |
| 2010 | 1.3 | 0.4 | 0.8 | 0.0 | -2.2 | -0.7 | 0.0 | 3.7 | 0.8 | -0.1 | 2.1 | 0 | 6.1 |
| 2011 | 1.9 | -2.0 | 0.8 | 0.0 | -3.2 | 1.8 | -0.3 | -2.2 | 0.0 | -4.4 | -0.6 | 0 | -8.1 |
| 2012 | 1.6 | 1.1 | 0.0 | 1.0 | -3.5 | 0.0 | -0.5 | 0.0 | 0.4 | 1.3 | 0.0 | 0 | 1.4 |
| 2013 | 1.3 | 0.4 | -0.5 | -1.1 | 0.0 | 0.5 | 1.5 | 0.0 | 1.0 | 0.2 | 0.0 | 0 | 3.4 |
| 2014 | 0.0 | 0.0 | 0.4 | 0.2 | 0.0 | 0.6 | -0.7 | 0.0 | -1.1 | 0.0 | -0.8 | 0 | -1.3 |
| 2015 | 0.0 | 0.0 | -0.1 | 0.8 | 0.3 | 1.4 | 0.0 | -3.5 | 0.2 | 0.0 | 1.1 | 0 | 0.0 |
| 2016 | -0.5 | 3.4 | 0.7 | 0.0 | 0.3 | -0.4 | -0.2 | -0.3 | 0.0 | -0.8 | 0.7 | 0 | 2.8 |
| 2017 | -0.2 | 2.0 | 0.0 | 0.5 | 1.1 | 0.0 | 0.7 | 0.3 | 0.0 | 0.2 | 0.2 | 0 | 5.1 |
| 2018 | 0.6 | -1.4 | 0.0 | 0.3 | 0.9 | 0.0 | 0.2 | 0.0 | 0.0 | 0.6 | 0.0 | 0 | 1.1 |
| 2019 | 0.5 | 0.4 | 1.7 | -0.7 | 0.0 | 0.7 | -1.4 | 0.0 | -1.7 | 1.1 | 0.0 | 0 | 0.7 |
Row
Rolling Performance Chart
Snail Trail Chart
